Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia

Norimah Rambeli @ Ramli, and Emilda Hashim, and Asmawi Hashim, and Dayang Affizzah Awang Marikan, and Podivinsky, Jan M. (2017) Empirical analysis on exchange rate fluctuation and sectoral stock returns in Malaysia. Jurnal Ekonomi Malaysia, 51 (1). pp. 33-40. ISSN 0127-1962


Official URL: http://www.ukm.my/fep/jem/content/2017.html


The purpose of this study is to observe the impact of the exchange rate fluctuation in Malaysia on sectors stock returns by using an augmented standard capital asset pricing model from October, 1992 to December, 2015. This paper extends previous studies on exchange rate fluctuation for the case of Malaysia by estimating the augmented capital asset pricing model for the price indexes sectors, including financial, plantation, properties, industrial, tin and mining, trade and services, consumer products and construction sector indexes. Moreover, this study also expands the literature by adapting the modelling proposed by Ibrahim (2008) by considering the exchange rate volatility, Asian financial crisis dummy and pegging exchange rate dummy. Such an analysis significant in part because of the importance of exchange rate fluctuation as drivers of sectoral returns. In general this study successfully documented the exchange rate fluctuation scenario in Malaysia. Overall, the result suggests that the exchange rate fluctuation in Malaysia can be categorized as the long memory in the volatility process. The results further suggest the sectors are largely affected by the currency fluctuated.

Item Type:Article
Keywords:Sector returns; Exchange rate returns; Exchange rate volatility; Exchange rate asymmetric
Journal:Jurnal Ekonomi Malaysia
ID Code:11241
Deposited By: ms aida -
Deposited On:10 Jan 2018 01:26
Last Modified:13 Jan 2018 23:13

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